Results 211 to 220 of about 31,133 (259)
The Size of the Equity Premium [PDF]
SSRN Electronic Journal, 2002 Among the many controversial variables in finance, risk premia stand prominent for their lack of observability. Measuring premia as the difference between realized returns on risky and risk-free assets has not led to unanimous conclusions about their size, which dramatically depends upon the length of the sample; in addition, investment allocations or ...
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Is the Size Premium Really Driven by Firm Size?
The Journal of Investing, 2021By decomposing firm size into horizon-based components, the authors find that the changes in firm size in prior years, instead of its recent level, drive the size premium. Specifically, size five years ago explains 80% of the current firm size but has little predictive power for the size premium.
Zhiyao Chen, Jun Li, Huijun Wang
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SSRN Electronic Journal, 2018
At low frequencies, we document that size and value premia exhibit strong positive co-movement, but are both negatively related to the equity premium. These patterns are explained in an investment-based asset pricing model featuring persistent micro and macro uncertainty.
Bernard Herskovic +2 more
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At low frequencies, we document that size and value premia exhibit strong positive co-movement, but are both negatively related to the equity premium. These patterns are explained in an investment-based asset pricing model featuring persistent micro and macro uncertainty.
Bernard Herskovic +2 more
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SSRN Electronic Journal, 2017
We decompose firm size into four components: the lagged 5-year component that represents size five years ago, and the long-run, intermediate-run, and short-run components that capture changes in size in each horizon. Our analyses indicate that while the lagged 5-year component explains about 80% of the cross-sectional variation in size, it has little ...
Zhiyao Chen, Jun Li, Huijun Wang
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We decompose firm size into four components: the lagged 5-year component that represents size five years ago, and the long-run, intermediate-run, and short-run components that capture changes in size in each horizon. Our analyses indicate that while the lagged 5-year component explains about 80% of the cross-sectional variation in size, it has little ...
Zhiyao Chen, Jun Li, Huijun Wang
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Package Sizes, Tariffs, Quantity Discount and Premium [PDF]
SSRN Electronic Journal, 2006 We analyze nonlinear pricing problem under monopoly using two hidden types of agents with linear demands and fully characterize all possible optimal solutions for both ordered and non-ordered demands. We show that both optimal packages can either contain Pareto-efficient quantities or one package can be undersized or oversized.
Babu Nahata +2 more
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The Size Premium in a Granular Economy
SSRN Electronic Journal, 2023The distribution of market capitalization in the U.S. is highly concentrated. We investigate how this phenomenon impacts the difference in returns between small and large firms (i.e., the size premium). If the stock market is sufficiently concentrated (i.e., granular), large firms may carry a risk premium because their idiosyncratic risk is not ...
Emery, Logan, Koëter, Joren
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SSRN Electronic Journal, 2017
This paper theoretically links the stock characteristics size and value to risks. The size premium arises – and spans the value premium – exclusively for portfolios formed in high market price of risk states. This is when the cross-sectional differences in risk premiums dominate the differences in expected cash flows connecting size and risk. Otherwise,
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This paper theoretically links the stock characteristics size and value to risks. The size premium arises – and spans the value premium – exclusively for portfolios formed in high market price of risk states. This is when the cross-sectional differences in risk premiums dominate the differences in expected cash flows connecting size and risk. Otherwise,
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Government size and risk premium
WIDER Working PaperGiven the rise in the government debt level in recent times, this paper aims to examine the effect of an increase in government size on risk premium and its transmission in the economy. We jointly identify the term spread shock (originating at the short end and the long end) and the government size shock, using max share identification.
Kumar, Abhishek, Mallick, Sushanta Kumar
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Can Overreaction Explain Part of the Size Premium?
SSRN Electronic Journal, 2006This paper uncovers several new empirical regularities in the historical returns of small stocks. First, within the sample of firms that have low market capitalizations, stocks with low past profitability ("laggers") bring returns significantly higher than those of stocks with high past profitability ("leaders").
K. Ozgur Demirtas, A. Burak Guner
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The Establishment-Size Wage Premium in Greece
SSRN Electronic Journal, 2010In this paper we examine the establishment-size wage premium in Greece using a matched employee-employer dataset. The results of the econometric estimation suggest that indeed such a premium is present in the Greek market sector, too. Its magnitude is in line with those reported in other economies.
Joan Daouli +3 more
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